The High-Frequency Response of the EUR-US Dollar Exchange Rate to ECB Communication∗
نویسندگان
چکیده
We investigate the impact of the European Central Bank’s monetary policy communication on the level and volatility of the EUR-US Dollar exchange rate employing an AR-FIGARCH specification. Using high-frequency data we estimate the individual and complementary effects of the release of the interest rate decision, the ECB’s introductory statement and the question and answer session. Surprise interest rate changes explain the movements in the exchange rate immediately after press release. During the introductory statement, communication with respect to future price developments is most relevant and has two important functions: (i) it explains the previously announced decision and (ii) it serves as a guide for the future path of monetary policy.
منابع مشابه
پیشبینی بازار ارز فارکس با استفاده از سریهای زمانی فازی و الگوریتم شبیه سازی تبرید
In the last 15 years, some methods have been proposed for forecasting based on fuzzy time series. One of the most important issues that affect the forecasting results in these models is the length of intervals. There are some studies on this issue but in most of them, length of intervals are predefined or even in some studies the interval’s length are the same. In this study we propose a model ...
متن کاملA pr 2 00 1 Correlations Between Reconstructed EUR Exchange Rates vs . CHF , DKK , GBP , JPY and USD
On Jan. 1, 1999 the European Union introduced a common currency Euro (EUR), to become the legal currency in all eleven countries which form the EUR. In order to test the EUR behavior and understand various features, the EUR exchange rate is artificially extrapolated back to 1993 by a linear superposition of the exchange rates of the 11 currencies composing EUR with respect to several currencies...
متن کاملAn Analysis of Fractal Properties in the Iranian Exchange Rate Behavior
The behavior of exchange rate in various exchange markets is not seemingly predictable, while there are different forecasting methods to do so. One of these methods is to use fractals to identify exchange rate behavior. This paper has made attempts to explore the properties of fractals in Iranâs exchange market in order to it can predict and analyze the trend of exchange rate. Accordingly, th...
متن کاملVolatility Spillover of the Exchange Rate and the Global Economy on Iran Stock Market
Financial markets are one of the most fundamental markets in any country. In the financial markets, the securities market and the foreign exchange market are sensitive sectors. These two markets are affected by fluctuations and economic cycles so reflect economic changes rapidly. Changes in the returns of one market due to arbitrage conditions during time lead to changes in the returns of other...
متن کاملAssessing the Exchange Rate Fluctuation on Tehrans Stock Market Price: A GARCH Application
This paper empirically investigates the exchange rate effects of Iranian Rial against Dollar (Rial vs.US) on stock prices in Iran. The sample period for the study has been taken from March 20, 2004 to March 20, 2010 using daily nominal exchange rate of Rial /us and daily closing values of Tehran Stock Exchange. Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model has been use...
متن کامل